Modelling and Measuring Price Discovery in Commodity Markets
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- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel, 2007. "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB wb074510, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
References listed on IDEAS
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- Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010.
"Modelling and measuring price discovery in commodity markets,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
- Figuerola-Ferretti, Isabel, 2007. "Modelling and measuring price discovery in commodity markets," DEE - Working Papers. Business Economics. WB wb074510, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Figuerola-Ferretti, Isabel, 2008. "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB 15951, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
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More about this item
Keywords
Backwardation;JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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